QUESTION 8 Given the following information about a CMO (same set-up as previous question): - 6 million of mortgage pool principal assigned to the floater class. 4 million assigned to the inverse floater class. - Floater class coupon rule: LIBOR +0.2% - Inverse floater class coupon rule: 12.5% - L x LIBOR - LIBOR in the first month is 1% What is the coupon rate of the inverse floater class in the first month? 11.00% 10.00% 9.50% 10.50% QUESTION 9 A CMO is being issued with 2 tranches and a residual: - Tranche A has 6,000,000 in principal and a 4.50% coupon. - Tranche B has 5,000,000 in principal and a 5.00% coupon. The mortgages backing the security issued are FRM at a mortgage rate of 5.10% with 10 year maturities and annual payments. There is no guarantee/servicer fee. Prepayment is assumed to be 5% CPR. The residual owns no principal at origination. In year 1, what is the cash flow to investors in Tranche B? 300,000.00 200,000.00 150,000.00 250,000.00 QUESTION 8 Given the following information about a CMO (same set-up as previous question): - 6 million of mortgage pool principal assigned to the floater class. 4 million assigned to the inverse floater class. - Floater class coupon rule: LIBOR +0.2% - Inverse floater class coupon rule: 12.5% - L x LIBOR - LIBOR in the first month is 1% What is the coupon rate of the inverse floater class in the first month? 11.00% 10.00% 9.50% 10.50% QUESTION 9 A CMO is being issued with 2 tranches and a residual: - Tranche A has 6,000,000 in principal and a 4.50% coupon. - Tranche B has 5,000,000 in principal and a 5.00% coupon. The mortgages backing the security issued are FRM at a mortgage rate of 5.10% with 10 year maturities and annual payments. There is no guarantee/servicer fee. Prepayment is assumed to be 5% CPR. The residual owns no principal at origination. In year 1, what is the cash flow to investors in Tranche B? 300,000.00 200,000.00 150,000.00 250,000.00